An Analytic Formula for European Options; Jump Diffusion Models with a Log Mixture Normal Jump Distribution

In this paper, we propose an approach to modeling the jump component of a jump-diffusion model using a log mixture of normals distribution. We define explicitly theproperties of the distribution and use it to create an analytic formula for Europeanoption price. Numerous examples of applications of the formula are presented to exhibitpractical utility of the formula

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Year of publication:	2018
Authors:	Lonon, Thomas
Other Persons:	Florescu, Ionut (contributor)
Publisher:	[2018]: [S.l.] : SSRN
Subject:	Stochastischer Prozess \| Stochastic process \| Optionspreistheorie \| Option pricing theory \| Optionsgeschäft \| Option trading \| Statistische Verteilung \| Statistical distribution \| Volatilität \| Volatility

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Extent:	1 Online-Ressource (35 p)
Series:	Stevens Institute of Technology School of Business Research Paper
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 1, 2016 erstellt
Other identifiers:	10.2139/ssrn.3266586 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012909472